I will start off by saying I'm not running bootcamp, but I might have experienced what you are (depends on what you mean by exiting the game).

For a while the client wouldn't shut down properly if it lost focus. That is, I shut the game down and starting browsing a website on the other monitor immediately. When I did that, I would have to kill the process to get the game to close (or wait for windows to finally decide the client had stopped responding and then try to decide whether it REALLY wanted to shut down the program or not).

Edit: Forgot to mention I am using Windows 7, so it isn't just localized to Windows 8.

I also use Windows 7 without issue. I've read that Windows 8 is really buggy boot camped, which is why I haven't made the move. Equally so, gaming on a BC Windows 8 has got to have it's fair share of bugs just thinking about it. Have you played any other graphically intense games or MMOs without issue?

I. Usually don't have any issues. I've played WoW, Aion, Rift, GW2. No issues. I tried exiting again without clicking away from the client and it closed with no issues. So it might be that I just need to let it close before I click on something else